Random Environment Integer-Valued Autoregressive Process with Discrete Laplace Marginal Distributions

* A new random environment integer-valued autoregressive process of order 1 with discrete Laplace marginal distributions and with r states (abbrev. [RrDLINAR.sub.1](M, A)) is introduced. It is shown that this process is distributed as a difference of two independent generalized random environment in...

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Bibliographic Details
Published inRevstat Vol. 21; no. 4; p. 469
Main Authors Pirkovic, Bogdan A, Ristic, Miroslav M, Nastic, Aleksandar S
Format Journal Article
LanguageEnglish
Published Instituto Nacional de Estatistica 01.11.2023
Instituto Nacional de Estatística | Statistics Portugal
Subjects
discrete Laplace distribution
DLINAR
INAR
random environment
RrDLINAR1(M;A)
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Summary:* A new random environment integer-valued autoregressive process of order 1 with discrete Laplace marginal distributions and with r states (abbrev. [RrDLINAR.sub.1](M, A)) is introduced. It is shown that this process is distributed as a difference of two independent generalized random environment integer-valued autoregressive processes, when their orders are equal to 1. Other distributional and correlation properties of the [RrDLINAR.sub.1](M, A) process are discussed. Strongly consistent Yule-Walker estimates are defined. The method of moments is implemented for different cases of simulated samples. Finally, the proposed model is applied to real-life data and the obtained results show its effectiveness. Keywords: * random environment; INAR(1), [rDLINAR.sub.1](M, A); DLINAR(1); discrete Laplace distribution. AMS Subject Classification: * 62M10.
ISSN:1645-6726
2183-0371
DOI:10.57805/revstat.v21i4.430